From the mixed up files of Mr Arthur Robins, an artist who sells his work in front of the Met:
While visiting the Met, Robins was questioned in the recent guerilla attacks on that museum and the Guggenheim, where an unknown artist surreptitiously installed works critical of George W. Bush. Later, he was visited by a phalanx of police and Terrorism Task Force officers. He videotaped the encounter, and, well, I suggest you read Julie Salomon's account in the Times, which would make a perfect commentary track if Mr Robins ever puts out a DVD. Biiiizarre.
[Update: For an entirely different kind of video shot, surveillance-style, by an artist, one which also deals, technically, with criminal activity, read Guy Trebay's piece on Andrea Fraser.]